When a candle burns, both physical & chemical changes occur.
Physical Changes in Burning Candle: On heating, candle wax melts and form liquid wax. It is a physical change. Since it again turns into solid wax on cooling. This is a reversible change.
Chemical Changes in Burning Candle: When you light the candle, the wax present near the wick will melt. Wick absorbs the liquid wax. The liquid wax vaporizes due the heat produced by the flame. This wax vapor near to flame burns and gives new substances like Carbon Dioxide, Carbon soot, water vapours, heat and light. This is an irreversible change.